Asian Option

To be updated..

Asian Option
Asian options are options where the payoff depends on the average price of the underlying asset during the life of the option. The payoff from an average price call option is

Asian Option Payoff

Where A(0,T) is the average value of the underlying from t=0 to t=T, inclusive. The popularly used Asian options are:

  1. Arithmetic Asian Option, and
  2. Geometric Asian Option